Okay, I did it: IE showed a box saying "Save" or "Open." Firefox showed a box with the same options, except "Open" was "Open with," so you can choose the software with which to open the file, which I think is more useful. What do you not like about it?
In FF :
Tools,
Options,
Main Tab.
Click the button: Always ask me where to save files.
You can also de/select whether to show Download Manager.